CMF Momentum Breakthrough Moving Average Strategy

/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// ***************************************************
// CMF Velocity with 200 EMA Strategy
// CMF Velocity Indicator by TheSadRhinoInvesting
// Author: TheSadRhinoInvesting, v1.0, 2021.05.16
//                   INITIAL RELEASE
// ***************************************************

//@version=4
strategy("CMF Velocity with 200EMA Strategy")

// ***************************************************
//              Strategy & Rules
// ***************************************************
// This strategy is a demonstration of my new Indicator: CMF Velocity
// CMF Velocity: https://www.tradingview.com/script/zsTl96Gd-CMF-Velocity/
// The strategy works best in a strongly trending market

// === Indicators ===
// EMA 
// @ 200
// CMF Velocity
// @ 11, 7
// ATR
// @ 10

// === Rules ===
// long only 
// - price above EMA200
// short only 
// - price below EMA200
// Stop Loss = 2x ATR
// Profit = 2x SL/risk (Profit Ratio x Max Loss)

// === Entries ===
// LONG
// - long entry (Typical): 
// - CMF Velocity crosses above 0

// SHORT
// - short entry (Typical): 
// - CMF Velocity crosses below 0

// ***************************************************
// Backtest Parameters
// ***************************************************
testStartYear = input(2021, "Backtest Start Year")
testStartMonth = input(5, "Backtest Start Month")
testStartDay = input(2, "Backtest Start Day")
testStartHour = input(0, "Backtest Start Hour")
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, testStartHour, 0)

testEndYear = input(2021, "Backtest End Year")
testEndMonth = input(5, "Backtest End Month")
testEndDay = input(16, "Backtest End Day")
testEndHour = input(0, "Backtest End Hour")
testPeriodEnd = timestamp(testEndYear, testEndMonth, testEndDay, testEndHour, 0)

timeBacktesting = true
direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))

// ***************************************************
// Inputs
// ***************************************************
// Profit/Loss Ratio
pLRatioMultiplier = input(2, title="Profit/Loss Multiplier", step=0.1, minval=0.1)

// EMA Period
emaPeriod = input(200, title="EMA Period", step=1, minval=1)
// ATR Multiplier
atrMultiplier = input(2, title="ATR Multiplier", step=0.1, minval=0.1)
// ATR Period
atrPeriod = input(10, title="ATR Period", step=1, minval=1)
// CMF Period
cmfPeriod = input(11, title="CMF Period", step=1, minval=1)
// CMF Velocity Period
cmfVelocityPeriod = input(7, title="CMF Velocity Period", step=1, minval=1)

// ***************************************************
// Indicator Functions
// ***************************************************
// CMF Function
cmf(period) =>
    moneyFlowMultiplier = (((close - low) - (high - close)) / (high - low)) * volume
    notNaMoneyFlowMultiplier = na(moneyFlowMultiplier) ? 0 : moneyFlowMultiplier
    moneyFlowAverage = sma(notNaMoneyFlowMultiplier, period)
    volumeAverage = sma(volume, period)
    moneyFlowAverage / volumeAverage

// CMF Velocity Function    
cmfVelocity(cmf, period) =>
    difference = change(cmf)
    sma(difference, period)
    
// ***************************************************
// Indicator Calculation and Plotting
// ***************************************************
cmfSeries = cmf(cmfPeriod)
cmfVelocitySeries = cmfVelocity(cmfSeries, cmfVelocityPeriod)
atrSeries = atr(atrPeriod)
triggerEMA = ema(close, emaPeriod)
plot(triggerEMA)    

// ***************************************************
// Strategy Execution
// ***************************************************
if (crossover(cmfVelocitySeries, 0.0) and triggerEMA < close and timeBacktesting)
    stopOffset = atrSeries * atrMultiplier
    profitOffset = stopOffset * pLRatioMultiplier
    stopLoss = close - stopOffset
    takeProfit = close + profitOffset
    strategy.entry("Long Entry", true)
    strategy.exit("Exit", "Long Entry", stop=stopLoss, limit=takeProfit)
    
if (crossunder(cmfVelocitySeries, 0.0) and triggerEMA > close and timeBacktesting)
    stopOffset = atrSeries * atrMultiplier
    profitOffset = stopOffset * pLRatioMultiplier
    stopLoss = close + stopOffset
    takeProfit = close - profitOffset
    strategy.entry("Short Entry", false)
    strategy.exit("Exit", "Short Entry", stop=stopLoss, limit=takeProfit)